Prime Minister Scott Morrison has thanked police for their efforts dealing with "ugly racial protests" on St Kilda Beach on Saturday, after some far-right demonstrators were seen making Nazi salutes and carrying Nazi insignia.

Key points:

Police described the afternoon as "challenging", with hundreds of officers keeping the peace

Senator's appearance 'absolutely disgusting'

Senator Anning has attracted criticism from a number of colleagues in Canberra for attending the rally.

His office has since confirmed he billed taxpayers for his flights to and from the rally from Queensland, saying he was representing constituents as crimes were also being committed by "African gangs" in his state.

But in a statement, Senator Anning denied it was an extremist event and claimed "the only people who were doing Nazi salutes were the far-left extremists", contrary to what footage from the rally shows.

"I didn't see any people there who appeared to be radicals. There were no skinheads, just ordinary working people who'd had enough," he said.

"I spoke to a diverse range of people including Vietnamese shopkeepers who were there because they were sick of being victims of these gangs. Yet they are being portrayed as 'far-right extremists' — I don't think so!"

Labor frontbencher Tanya Plibersek labelled Senator Anning's attendance at the rally "absolutely disgusting" and called on the Government not to make deals with him to pass legislation.

"Scott Morrison has criticised the rally — I'm very pleased he's criticised the rally," she said.

"He also has to criticise Fraser Anning … for attending a rally that's been organised by people with a known record of seeking to divide Australians, not bring them closer together."

Independent senator Derryn Hinch and the Greens' Sarah Hanson-Young criticised Senator Anning on Twitter, while a number of federal Labor politicians also came out against him.

'We need leadership to call it out'

Newly elected MP Kerryn Phelps praised demonstrators who showed up to oppose the rally, saying the country's political leaders needed to be more proactive in speaking out against a rise in anti-Semitic and neo-Nazi behaviour.

"I think we should call out this rally for what it is. It is a demonstration by a neo-Nazi group where you're seeing 'heil' salutes," she said.

"We know there's a rise of Nazism in countries, particularly in Europe.

"I think we should be very concerned about this in Australia. We need leadership to call it out for what it is — right-wing extremism."

Federal Immigration Minister David Coleman also tweeted to condemn the rally "in the strongest terms".

"There is no place for racism in our nation. We are the most successful multicultural society in the world, and we have achieved that by working together to build a stronger Australia," he tweeted on Sunday morning.

The group refused multiple requests by police and the footballers to stop filming, with the video then showing a scuffle between one of the men from the soccer-playing group and officers.

Those filming could be heard saying "yes, yes, yes" and running towards the altercation with the camera.

Capsicum spray was used and a man was seen vomiting as he was held on the ground and arrested. He was expected to be charged on summons with assaulting police, resisting arrest and failing to move on when directed.